pillar iii report - rbc · - 4 - table 2 transitional own funds disclosure (table 4 in 2018 pillar...

RBC EUROPE LIMITED

SEMI-ANNUAL PILLAR 3 DISCLOSURE

FOR THE HALF YEAR ENDED 30 APRIL 2019

To be read in conjunction with

PILLAR 3 DISCLOSURE

FOR THE YEAR ENDED 31 OCTOBER 2018

[http://www.rbc.com/aboutus/rbcel-index.html]

http://www.rbc.com/aboutus/rbcel-index.html

Table of Contents

1.0 Background .................................................................................................................................................................................................................................................. 1

2.0 Risk Governance .......................................................................................................................................................................................................................................... 1

3.0 Own Funds ................................................................................................................................................................................................................................................... 2

3.4 Leverage Ratio ................................................................................................................................................................................................................................... 7

4.0 Capital Requirements .................................................................................................................................................................................................................................. 9

5.0 Credit Risk ................................................................................................................................................................................................................................................. 11

6.0 Market Risk ............................................................................................................................................................................................................................................... 15

6.1 Securitisations .................................................................................................................................................................................................................................. 16

7.0 Operational Risk ........................................................................................................................................................................................................................................ 17

8.0 Non-trading Book Equity Exposures ........................................................................................................................................................................................................ 17

9.0 Interest Rate Risk in the Banking Book .................................................................................................................................................................................................... 17

10.0 Liquidity Risk ............................................................................................................................................................................................................................................ 17

11.0 Remuneration ............................................................................................................................................................................................................................................. 17

12.0 Appendices ................................................................................................................................................................................................................................................. 18

12.1 Appendix 1: Board Membership ....................................................................................................................................................................................................... 18

List of Tables

Table 1: Full reconciliation of own funds items to financial statements (Table 3 in 2018 Pillar 3) ................................................................................................................... 2

Table 2 Transitional own funds disclosure (Table 4 in 2018 Pillar 3) .............................................................................................................................................................. 4

Table 3: Transitional arrangements for IFRS9 ................................................................................................................................................................................................ 6

Table 4: Leverage ratio disclosure (Table 8 in 2018 Pillar 3) .......................................................................................................................................................................... 7

Table 5: Risk exposure amount by risk type and calculation approach adopted (Table 9 in 2018 Pillar 3) ....................................................................................................... 9

Table 6: Risk exposure amounts by banking and trading activities (Table 10 in 2018 Pillar 3) ...................................................................................................................... 11

Table 7: Gross credit exposures within the banking book (Table 11 in 2018 Pillar 3) .................................................................................................................................... 12

Table 8: Reconciliation of provision for credit losses (Table 20 in 2018 Pillar 3) .......................................................................................................................................... 13

Table 9: Trading credit risk (Table 21 in 2018 Pillar 3) ................................................................................................................................................................................. 13

Table 10: Counterparty credit risk by exposure class (Table 22 in 2018 Pillar 3)........................................................................................................................................... 14

Table 11: Exposures amounts subjected to the use of the ECAIs (Table 32 in 2018 Pillar 3) ......................................................................................................................... 15

Table 12: Market risk by risk type (Table 34 in 2018 Pillar 3) ...................................................................................................................................................................... 15

Table 13: Exposures by underlying exposure type (Table 35 in 2018 Pillar 3)............................................................................................................................................... 16

Table 14: Securitisation exposures by seniority (Table 36 in 2018 Pillar 3) ................................................................................................................................................... 17

Table 15: Non-trading book equity exposures (Table 38 in 2018 Pillar 3) ..................................................................................................................................................... 17

- 1 -

1.0 Background

This semi-annual Pillar 3 disclosure is published in line with the EBA guidance EBA/GL/2014/14

(Guidance). As there have been no significant changes to the business of RBC Europe Limited, this

disclosure provides only the updated numeric information suggested by the Guidance. The tables below

should therefore be read in conjunction with the full annual disclosure which contains the data as of 31

October 2018. Table numbering is in line with the 2018 annual disclosure.

RBC Europe Limited does not consider that it has any items prone to rapid changes and therefore the

relevant section is a Nil return.

2.0 Risk Governance

No update required.

- 2 -

3.0 Own Funds

Table 1: Full reconciliation of own funds items to financial statements (Table 3 in 2018 Pillar 3)

Per Unaudited Statement of changes in equity

£'000 30 April 2019

Common shares 497,996

Other components of equity:

Capital reserves 36,619

Share premium 803

Remeasurement of pension assets and liabilities 7,497

Fair Value through Other Comprehensive Income reserve 35,015

AT1 equity issuance 141,953

Total other components of equity 221,887

Retained earnings

Opening 587,423

Net profit 33,059

less unverified profit (33,059)

Audited retained earnings at 30 April 587,423

Total equity 1,307,306

Adjustments to CET1 due to prudential filters

Value adjustments due to the requirements for prudent valuation (14,905)

Transitional adjustments due to IFRS9 692

Deductions of CET1 Capital

Other intangible assets -

Deferred tax liabilities associated to other intangible assets -

Deferred tax assets that rely on future profitability and do not arise from temporary

differences net of associated tax liabilities -

Defined benefit pension assets (19,634)

Deferred tax liabilities associated to defined benefit pension assets 5,125

Deduction of holdings Common Equity Tier 1 instruments where an institution does

not have a significant investment in a financial sector entity -

Total CET1 deductions (14,510)

Total Fully Loaded Tier 1 Capital 1,278,583

Tier 2 Capital

Subordinated loans 230,397

Deduction of holdings Tier 2 instruments where an institution does not have a

significant investment in a financial sector entity -

Total Tier 2 deductions -

Total Fully Loaded Tier 2 Capital 230,397

Fully Loaded Own Funds 1,508,980

- 3 -

Per Audited Statement of changes in equity

£'000

Common shares 497,996

Other components of equity:

Capital reserves 36,619

Share premium 803

Remeasurement of pension assets and liabilities 7,497

Fair Value through Other Comprehensive Income reserve 35,015

AT1 equity issuance 141,953

Total other components of equity 221,887

Retained earnings

Opening 493,712

Net profit 93,711

Audited retained earnings at 31 October 587,423

Total equity 1,307,306

Adjustments to CET1 due to prudential filters

Value adjustments due to the requirements for prudent valuation (11,931)

Transitional adjustments due to IFRS9 774

Deductions of CET1 Capital

Other intangible assets -

Deferred tax liabilities associated to other intangible assets -

Deferred tax assets that rely on future profitability and do not arise from temporary

differences net of associated tax liabilities -

Defined benefit pension assets (19,400)

Deferred tax liabilities associated to defined benefit pension assets 5,063

Deduction of holdings Common Equity Tier 1 instruments where an institution does

not have a significant investment in a financial sector entity -

Total CET1 deductions (14,337)

Total Fully Loaded Tier 1 Capital 1,281,813

Tier 2 Capital

Subordinated loans 235,091

Deduction of holdings Tier 2 instruments where an institution does not have a

significant investment in a financial sector entity -

Total Tier 2 deductions -

Total Fully Loaded Tier 2 Capital 235,091

Fully Loaded Own Funds 1,516,904

31 October 2018

- 4 -

Table 2 Transitional own funds disclosure (Table 4 in 2018 Pillar 3)

Common Equity Tier 1 capital: instruments and reserves30 April 2019

£'000

Prescribed

residual amount Final CRD IV

Capital instruments and the related share premium accounts 498,799 - 498,799

of which: Common shares 497,996 - 497,996

Retained earnings 587,423 - 587,423

Accumulated other comprehensive income (and any other reserves) 79,131 - 79,131

Common Equity Tier 1 (CET1) capital before regulatory adjustments 1,165,353 - 1,165,353

Common Equity Tier 1 (CET1) capital: regulatory adjustments

Additional value adjustments (14,905) - (14,905)

Goodwill and Other intangible assets (net of related tax liability) - - -

Defined-benefit pension fund assets (net of related tax liability) (14,510) - (14,510)

Direct, indirect and synthetic holdings of the CET1 instruments of financial sector

entities where the institution does not have a significant investment in those entities

(amount above 10% threshold and net of eligible short positions) (negative amount)

- - -

Transitional adjustments due to IFRS9 692 (692) -

Total regulatory adjustments to Common Equity Tier 1 (CET1) (28,723) (692) (29,415)

Common Equity Tier 1 (CET1) capital 1,136,630 (692) 1,135,938

Additional Tier 1 (AT1) capital 141,953 - 141,953

Tier 1 capital (T1 = CET1 + AT1) 1,278,583 (692) 1,277,891

Tier 2 (T2) capital: instruments and provisions

Subordinated loans 230,397 - 230,397

Credit risk adjustments - - -

Tier 2 (T2) capital before regulatory adjustment 230,397 - 230,397

Tier 2 (T2) capital 230,397 - 230,397

Total capital (TC = T1 + T2) 1,508,980 (692) 1,508,288

Total risk-weighted exposures 7,788,964

Capital ratios and buffers

Common Equity Tier 1 ratio 14.6%

Tier 1 ratio 16.4%

Total capital ratio 19.4%

Institution specific buffer requirement 221,212

of which: capital conservation buffer requirement 194,724

of which: countercyclical buffer requirement 26,488

Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure

amount) 10.1%

Amounts below the thresholds for deduction (before risk-weighting)

Direct and indirect holdings of the capital of financial sector entities where the

institution does not have a significant investment in those entities (amount below

10% threshold and net of eligible short positions -

Direct and indirect holdings of the CET1 instruments of financial sector entities

where the institution has a significant investment in those entities (amount below


Deferred tax assets arising from temporary difference -

Applicable caps on the inclusion of provisions in Tier 2

Credit risk adjustments included in T2 in respect of exposures subject to

standardised approach (prior to the application of the cap) -

Cap on inclusion of credit risk adjustments in T2 under standardised approach -

Credit risk adjustments included in T2 in respect of exposures subject to internal

rating-based approach (prior to the application of the cap) -

Cap for inclusion of credit risk adjustments in T2 under internal ratings-based

approach -

Capital instruments subject to phase-out arrangements (applicable between 1 Jan 2014 and 1 Jan 2022)

- Current cap on CET1 instruments subject to phase-out arrangements -

- Amount excluded from CET1 due to cap (excess over cap after redemptions and

maturities) -

- Current cap on AT1 instruments subject to phase-out arrangements -

- Amount excluded from AT1 due to cap (excess over cap after redemptions and

maturities) -

- Current cap on T2 instruments subject to phase-out arrangements -

- Amount excluded from T2 due to cap (excess over cap after redemptions and

maturities) -

- 5 -

Common Equity Tier 1 capital: instruments and reserves31 October 2018

£'000

Prescribed

residual amount Final CRD IV

Capital instruments and the related share premium accounts 498,799 - 498,799

of which: Common shares 497,996 - 497,996

Retained earnings 587,423 - 587,423

Accumulated other comprehensive income (and any other reserves) 79,131 - 79,131

Common Equity Tier 1 (CET1) capital before regulatory adjustments 1,165,353 - 1,165,353

Common Equity Tier 1 (CET1) capital: regulatory adjustments

Additional value adjustments (11,931) - (11,931)

Goodwill and Other intangible assets (net of related tax liability) - - -

Defined-benefit pension fund assets (net of related tax liability) (14,337) - (14,337)

Direct, indirect and synthetic holdings of the CET1 instruments of financial sector

entities where the institution does not have a significant investment in those entities

(amount above 10% threshold and net of eligible short positions) (negative amount)

- - -

Transitional adjustments due to IFRS9 774 (774) -

Total regulatory adjustments to Common Equity Tier 1 (CET1) (25,493) (774) (26,267)

Common Equity Tier 1 (CET1) capital 1,139,860 (774) 1,139,086

Additional Tier 1 (AT1) capital 141,953 - 141,953

Tier 1 capital (T1 = CET1 + AT1) 1,281,813 (774) 1,281,039

Tier 2 (T2) capital: instruments and provisions

Subordinated loans 235,091 - 235,091

Credit risk adjustments - - -

Tier 2 (T2) capital before regulatory adjustment 235,091 - 235,091

Tier 2 (T2) capital 235,091 - 235,091

Total capital (TC = T1 + T2) 1,516,904 (774) 1,516,130

Total risk-weighted exposures 7,977,954

Capital ratios and buffers

Common Equity Tier 1 ratio 14.3%

Tier 1 ratio 16.1%

Total capital ratio 19.0%

Institution specific buffer requirement 162,981

of which: capital conservation buffer requirement 149,587

of which: countercyclical buffer requirement 13,394

Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure

amount) 9.8%

Amounts below the thresholds for deduction (before risk-weighting)

Direct and indirect holdings of the capital of financial sector entities where the

institution does not have a significant investment in those entities (amount below


Direct and indirect holdings of the CET1 instruments of financial sector entities

where the institution has a significant investment in those entities (amount below


Deferred tax assets arising from temporary difference -

Applicable caps on the inclusion of provisions in Tier 2

Credit risk adjustments included in T2 in respect of exposures subject to

standardised approach (prior to the application of the cap) -

Cap on inclusion of credit risk adjustments in T2 under standardised approach -

Credit risk adjustments included in T2 in respect of exposures subject to internal

rating-based approach (prior to the application of the cap) -

Cap for inclusion of credit risk adjustments in T2 under internal ratings-based

approach -

Capital instruments subject to phase-out arrangements (applicable between 1 Jan 2014 and 1 Jan 2022)

- Current cap on CET1 instruments subject to phase-out arrangements -

- Amount excluded from CET1 due to cap (excess over cap after redemptions and

maturities) -

- Current cap on AT1 instruments subject to phase-out arrangements -

- Amount excluded from AT1 due to cap (excess over cap after redemptions and

maturities) -

- Current cap on T2 instruments subject to phase-out arrangements -

- Amount excluded from T2 due to cap (excess over cap after redemptions and

maturities) -

- 6 -

Table 3: Transitional arrangements for IFRS9

30 April 2019

£'000

Common Equity Tier 1 (CET1) capital 1,136,630

Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 1,135,938

Tier 1 capital 1,278,583

Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 1,277,891

Total capital 1,508,980

Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 1,508,288

Total risk-weighted assets 7,788,964

Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 7,787,661

Common Equity Tier 1 (as a percentage of risk exposure amount) 14.6%

Common Equity Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 14.6%

Tier 1 (as a percentage of risk exposure amount) 16.4%

Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 16.4%

Total capital (as a percentage of risk exposure amount) 19.4%

Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 19.4%

Leverage ratio total exposure measure 43,755,242

Leverage ratio 2.92%

Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 2.92%

Available capital (amounts)

Risk-weighted assets (amounts)

Capital ratios

Leverage ratio

31 October 2018

£'000

Common Equity Tier 1 (CET1) capital 1,139,859

Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 1,139,086


Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 1,281,039

Total capital 1,516,904

Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 1,516,130

Total risk-weighted assets 7,977,954

Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 7,976,988

Common Equity Tier 1 (as a percentage of risk exposure amount) 14.3%

Common Equity Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 14.3%

Tier 1 (as a percentage of risk exposure amount) 16.1%

Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 16.1%

Total capital (as a percentage of risk exposure amount) 19.0%

Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 19.0%

Leverage ratio total exposure measure 46,509,827


Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 2.75%

Available capital (amounts)

Risk-weighted assets (amounts)

Capital ratios

Leverage ratio

- 7 -

3.4 Leverage Ratio

Table 4: Leverage ratio disclosure (Table 8 in 2018 Pillar 3)

30 April 2019

£'000

Summary reconciliation of accounting assets and leverage ratio exposures

Total assets 47,896,599

Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory

consolidation -

(Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework

but excluded from the leverage ratio exposure measure in accordance with Article 429(13) of Regulation (EU) No

575/2013 "CRR") -

Adjustments for derivative financial instruments (784,769)

Adjustments for securities financing transactions "SFTs" (4,905,902)

Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) 1,368,752

(Adjustment for intragroup exposures excluded from the leverage ratio exposure measure in accordance with Article

429 (7) of Regulation (EU) No 575/2013) -

(Adjustment for exposures excluded from the leverage ratio exposure measure in accordance with Article 429 (14) of

Regulation (EU) No 575/2013) -

Other adjustments 180,562

Total leverage ratio exposure 43,755,242

Leverage ratio common disclosure

On-balance sheet exposures (excluding derivatives and SFTs)

On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) 20,838,659

(Asset amounts deducted in determining Tier 1 capital) (19,634)

Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) 20,819,025

Derivative exposures

Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) 306,393

Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) 1,198,688

Exposure determined under Original Exposure Method -

Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the

applicable accounting framework -

(Deductions of receivables assets for cash variation margin provided in derivatives transactions) -

(Exempted CCP leg of client-cleared trade exposures) -

Adjusted effective notional amount of written credit derivatives 2,408,929

(Adjusted effective notional offsets and add-on deductions for written credit derivatives) (2,379,276)

Total derivative exposures 1,534,736

Securities financing transaction exposures

Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions 30,296,820

(Netted amounts of cash payables and cash receivables of gross SFT assets) (10,979,650)

Counterparty credit risk exposure for SFT assets 715,558

Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b (4) and 222 of Regulation

(EU) No 575/2013 -

Agent transaction exposures -

(Exempted CCP leg of client-cleared SFT exposure) -

Total securities financing transaction exposures 20,032,729

Other off-balance sheet exposures

Off-balance sheet exposures at gross notional amount 2,689,304

(Adjustments for conversion to credit equivalent amounts) (1,320,551)

Total other off-balance sheet exposures 1,368,752

Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off balance sheet)

(Exemption of intragroup exposures (solo basis) in accordance with Article 429(7) of Regulation (EU) No 575/2013

(on and off balance sheet)) -

(Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No 575/2013 (on and off balance sheet)) -

Capital and total exposures


Total leverage ratio exposures 43,755,242


Choice on transitional arrangements and amount of derecognised fiduciary items

Choice on transitional arrangements for the definition of the capital measure -

Amount of derecognised fiduciary items in accordance with Article 429(11) of Regulation (EU) NO 575/2013 -

Applicable Amounts

CRR leverage ratio exposure

- 8 -

31 October 2018

£'000

Summary reconciliation of accounting assets and leverage ratio exposures

Applicable Amounts

Total assets as per published financial statements 48,518,274

Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory

consolidation-

(Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework

but excluded from the leverage ratio exposure measure in accordance with Article 429(13) of Regulation (EU) No

575/2013 "CRR")

-

Adjustments for derivative financial instruments (992,210)

Adjustments for securities financing transactions "SFTs" (3,845,675)

Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) 3,335,682

(Adjustment for intragroup exposures excluded from the leverage ratio exposure measure in accordance with Article

429 (7) of Regulation (EU) No 575/2013)-

(Adjustment for exposures excluded from the leverage ratio exposure measure in accordance with Article 429 (14) of

Regulation (EU) No 575/2013)-

Other adjustments (506,244)

Total leverage ratio exposure 46,509,827

Leverage ratio common disclosure

CRR leverage ratio exposures

On-balance sheet exposures (excluding derivatives and SFTs)

On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) 20,613,069

(Asset amounts deducted in determining Tier 1 capital) (12,387)

Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) 20,600,682

Derivative exposures

Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) 499,031

Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) 1,008,029

Exposure determined under Original Exposure Method -

Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the

applicable accounting framework-

(Deductions of receivables assets for cash variation margin provided in derivatives transactions) -

(Exempted CCP leg of client-cleared trade exposures) -

Adjusted effective notional amount of written credit derivatives 1,497,335

(Adjusted effective notional offsets and add-on deductions for written credit derivatives) (1,477,884)

Total derivative exposures 1,526,511

Securities financing transaction exposures

Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions 30,016,236

(Netted amounts of cash payables and cash receivables of gross SFT assets) (9,533,882)

Counterparty credit risk exposure for SFT assets 709,424

Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b (4) and 222 of Regulation

(EU) No 575/2013-

Agent transaction exposures -

(Exempted CCP leg of client-cleared SFT exposure) -

Total securities financing transaction exposures 21,191,778

Other off-balance sheet exposures

Off-balance sheet exposures at gross notional amount 6,334,959

(Adjustments for conversion to credit equivalent amounts) (3,144,103)

Total other off-balance sheet exposures 3,190,856

Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off balance sheet)

(Exemption of intragroup exposures (solo basis) in accordance with Article 429(7) of Regulation (EU) No 575/2013

(on and off balance sheet)) -

(Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No 575/2013 (on and off balance sheet)) -

Capital and total exposures


Total leverage ratio exposures 46,509,827


Choice on transitional arrangements and amount of derecognised fiduciary items

Choice on transitional arrangements for the definition of the capital measure -

Amount of derecognised fiduciary items in accordance with Article 429(11) of Regulation (EU) NO 575/2013 -

- 9 -

4.0 Capital Requirements

Table 5: Risk exposure amount by risk type and calculation approach adopted (Table 9 in 2018

Pillar 3)

As at 30 April 2019

Risk-weighted

Exposure

CET1 Capital

requirement

@ 4.5%

Tier 1

Capital

requirement

@ 6%

Total Capital

requirement

@8%

£'000

Risk-weighted exposure amounts for credit and counterparty credit

Calculated under the Standardised Approach

Central governments or central banks 4 - - -

Regional governments or local authorities 20,200 909 1,212 1,616

Public sector entities 127,294 5,728 7,638 10,184

Institutions 1,022,751 46,024 61,365 81,820

Corporates 3,169,841 142,643 190,190 253,587

Secured by mortgages on immovable property 219,121 9,860 13,147 17,530

Equity 48,290 2,173 2,897 3,863

Other items 6,976 314 419 558

4,614,477 207,651 276,868 369,158

Risk exposure amount for contributions to the default fund of a CCP 40,109 1,805 2,407 3,209

4,654,586 209,456 279,275 372,367

Risk-weighted exposure amount settlement/delivery risk in the Trading book 1,638 74 98 131

Risk-weighted exposure amount for position, foreign exchange and commodities risks


Interest Rate 2,252,600 101,367 135,156 180,208

Equity 29,075 1,308 1,745 2,326

Foreign Exchange 44,150 1,987 2,649 3,532

Commodities 7,263 327 436 581

2,333,088 104,989 139,985 186,647

Risk-weighted exposure amount for operational risk

Calculated under the Basic Indicator Approach 794,628 35,758 47,678 63,570

Risk-weighted exposure amount for credit valuation adjustment

Calculated under the Standardised Method 5,025 226 302 402

Total 7,788,964 350,503 467,338 623,117

Surplus CET1 Capital over the minimum requirement 786,127

Surplus Tier1 Capital over the minimum requirement 811,246

Surplus Total Capital over the minimum requirement 885,863

- 10 -

As at 31 October 2018

Risk-weighted

Exposure

CET1 Capital

requirement

@ 4.5%

Tier 1

Capital

requirement

@ 6%

Total Capital

requirement

@8%

£'000



Central governments or central banks 36,396 1,638 2,184 2,912

Regional governments or local authorities 20,100 905 1,206 1,608

Public sector entities 94,521 4,253 5,671 7,562

Multilateral Development Banks - - - -

Institutions 754,509 33,953 45,271 60,361

Corporates 3,461,068 155,748 207,664 276,885

Secured by mortgages on immovable property 230,681 10,381 13,841 18,454

Equity 46,238 2,081 2,774 3,699

Other items 12,097 544 726 968

4,655,610 209,502 279,337 372,449

Risk exposure amount for contributions to the default fund of a CCP 35,672 1,605 2,140 2,854

4,691,282 211,108 281,477 375,303

Risk-weighted exposure amount settlement/delivery risk in the Trading book 1,789 81 107 143

Risk-weighted exposure amount for position, foreign exchange and commodities risks


Interest Rate 2,266,363 101,986 135,982 181,309

Equity 48,957 2,203 2,937 3,917

Foreign Exchange 163,545 7,360 9,813 13,084

Commodities 4,819 217 289 385

2,483,684 111,766 149,021 198,695

Risk-weighted exposure amount for operational risk

Calculated under the Basic Indicator Approach 794,628 35,758 47,678 63,570

Risk-weighted exposure amount for credit valuation adjustment

Calculated under the Standardised Method 6,571 296 394 526

Total 7,977,954 359,008 478,677 638,236

Surplus CET1 Capital over the minimum requirement 780,851

Surplus Tier1 Capital over the minimum requirement 803,135

Surplus Total Capital over the minimum requirement 878,667

- 11 -

5.0 Credit Risk

Table 6: Risk exposure amounts by banking and trading activities (Table 10 in 2018 Pillar 3)

As at 30 April 2019

£'000 Banking Trading Total



Central governments or central banks - 4 4

Regional governments or local authorities 20,200 - 20,200

Public sector entities 115,028 12,266 127,294

Institutions 153,185 869,567 1,022,751

Corporates 2,076,610 1,093,232 3,169,841

Secured by mortgages on immovable property 219,121 - 219,121

Equity 48,931 - 48,931

Other items 6,335 - 6,335

2,639,409 1,975,068 4,614,477

Risk exposure amount for contributions to the default fund of a CCP - 40,109 40,109

2,639,409 2,015,177 4,654,586

Risk-weighted exposure amount settlement/delivery risk in the Trading book - 1,638 1,638

Total 2,639,409 2,016,814 4,656,224


£'000 Banking Trading Total



Central governments or central banks 33,300 3,096 36,396

Regional governments or local authorities 20,100 - 20,100


Institutions 138,073 616,437 754,509

Corporates 2,179,874 1,281,194 3,461,068

Secured by mortgages on immovable property 230,681 - 230,681

Equity 46,238 - 46,238

Other items 12,097 - 12,097

2,752,938 1,902,672 4,655,610

Risk exposure amount for contributions to the default fund of a CCP - 35,672 35,672

2,752,938 1,938,344 4,691,282

Risk-weighted exposure amount settlement/delivery risk in the Trading book - 1,789 1,789

Total 2,752,938 1,940,134 4,693,071

- 12 -

Table 7: Gross credit exposures within the banking book (Table 11 in 2018 Pillar 3)

As at 30 April 2019

£'000

Exposure amounts for credit risk in the banking book Gross

Exposure

Credit Risk

Provisions

Final

Exposure

Risk-

weighted

Exposure

On balance sheet exposures

Central governments or central banks 4,135,219 - 4,135,219 -

Regional governments or local authorities 101,000 - 101,000 20,200

Public sector entities 275,622 - 275,622 115,028

Institutions 492,960 - 492,960 102,630

Corporates 3,816,884 (1,150) 1,740,010 1,434,100

Secured by mortgages on immovable property 532,858 - 517,704 207,354

Equity 48,931 - 48,931 48,931

Other items 6,340 - 6,340 6,335

10,084,731 (1,150) 7,992,703 1,934,578

Off balance sheet exposures

Central governments or central banks - - - -

Public sector entities - - - -


Institutions 29,505 - 16,660 50,554

Corporates 2,600,443 (254) 755,976 642,510


Equity - - - -

Other items - - - -

2,689,235 (254) 788,019 704,831

Total 12,773,967 (1,404) 8,780,722 2,639,409

Small and medium enterprises included in Corporates - - - -


£'000

Exposure amounts for credit risk in the banking book Gross

Exposure

Credit Risk

Provisions

Final

Exposure

Risk-

weighted

Exposure

On balance sheet exposures

Central governments or central banks 4,566,851 - 4,566,851 33,300

Regional governments or local authorities 100,000 - 100,000 20,100

Public sector entities 197,843 - 197,843 92,576

Multilateral Development Banks 425,000 - 425,000 -

Institutions 228,773 - 228,773 46,115

Corporates 3,355,773 (751) 1,393,742 1,242,353


Equity 46,238 - 46,238 46,238

Other items 4,955 - 4,955 12,097

9,518,237 (751) 7,537,878 1,710,988

Off balance sheet exposures

Central governments or central banks 107,300 - 53,700 -

Regional governments or local authorities - - - -

Public sector entities - - - -


Institutions 25,102 - 18,180 91,958

Corporates 6,205,341 (226) 1,191,907 937,521


Equity - - - -

Other items - - - -

6,399,310 (226) 1,281,183 1,041,950

Total 15,917,546 (978) 8,819,061 2,752,938

Small and medium enterprises included in Corporates - - - -

- 13 -

Table 8: Reconciliation of provision for credit losses (Table 20 in 2018 Pillar 3)

30 April 2019 31 October 2018

(Under IFRS 9) (Under IFRS 9)

£'000 £'000

Provisions brought forward 4,543 5,084

Provisions raised during the period 3,498 1,495

Net write-offs - (2,142)

Exchange rate and other - 106

Provisions as at period end 8,041 4,543

No specific adjustments were proposed as at 30 April 2019 (2018: nil).

Table 9: Trading credit risk (Table 21 in 2018 Pillar 3)

As at 30 April 2019

£'000

Counterparty credit risk exposure by products Gross

ExposureFinal

Exposure

Risk-

weighted

Exposure


Exchange traded derivatives 1,258,641 825,925 123,478

OTC derivatives 537,214 30,781 5,999

SFTs 3,561,909 3,561,909 1,845,591

Total 5,357,764 4,418,614 1,975,068


£'000

Counterparty credit risk exposure by products Gross

ExposureFinal

Exposure

Risk-

weighted

Exposure


Exchange traded derivatives 1,181,319 971,849 186,557

OTC derivatives 568,364 26,812 6,096

SFTs 3,098,157 3,098,157 1,710,018

Total 4,847,840 4,096,818 1,902,672

- 14 -

Table 10: Counterparty credit risk by exposure class (Table 22 in 2018 Pillar 3)

As at 30 April 2019

£'000

Exposure amounts for counterparty credit risk in trading bookGross

Exposure

Final

Exposure

Risk-

weighted

Exposure


Central governments or central banks 60,501 60,501 4

International Organisation 6,556 6,556 -


Institutions 3,923,219 3,004,594 869,567

Corporates 1,306,159 1,285,633 1,093,232

Total 5,357,764 4,418,614 1,975,068

Small and medium enterprises, included in Corporates - - -


£'000

Exposure amounts for counterparty credit risk in trading bookGross

Exposure

Final

Exposure

Risk-

weighted

Exposure


Central governments or central banks 228,847 228,847 3,096

International organisations 26,017 26,017 -


Institutions 3,138,598 2,413,081 616,437

Corporates 1,444,651 1,419,146 1,281,194

Total 4,847,840 4,096,818 1,902,672

Small and medium enterprises, included in Corporates - - -

- 15 -

Table 11: Exposures amounts subjected to the use of the ECAIs (Table 32 in 2018 Pillar 3)

As at 30 April 2019

£'000

Gross

Exposure

Final

Exposure

Risk-

weighted

Exposures

Exposure amounts subject to the use of the ECAIs

Central governments or central banks 298,700 298,700 -

Regional governments or local authorities 101,000 101,000 20,200


Multilateral Development Banks 674,917 674,917 -

Institutions 2,707,900 1,831,846 621,607

Corporates 1,735,267 1,048,319 583,283

Total 5,791,284 4,228,282 1,339,693


£'000

Gross

Exposure

Final

Exposure

Risk-

weighted

Exposures

Exposure amounts subject to the use of the ECAIs

Central governments or central banks 184,609 131,009 -

Regional governments or local authorities 100,000 100,000 20,100


Multilateral Development Banks 425,000 425,000 -

Institutions 1,875,534 1,172,236 393,548

Corporates 5,062,767 1,195,259 780,851

Total 7,844,810 3,220,405 1,286,886

6.0 Market Risk

Table 12: Market risk by risk type (Table 34 in 2018 Pillar 3)

As at 30 April 2019

Risk-

weighted

Exposure

Capital

Requirement

£'000

Interest rate risk 2,252,600 180,208

of which: Securitisation position risk 5,776 462

Equity risk 29,075 2,326

Foreign-exchange risk 44,150 3,532

Settlement risk - -

Commodities risk 7,263 581

2,333,088 186,647


Risk-

weighted

Exposure

Capital

Requirement

£'000

Interest rate risk 2,266,363 181,309

of which: Securitisation position risk 4,622 370

Equity risk 48,957 3,917

Foreign-exchange risk 163,545 13,084

Settlement risk - -

Commodities risk 4,819 385

2,483,684 198,695

- 16 -

6.1 Securitisations

Table 13: Exposures by underlying exposure type (Table 35 in 2018 Pillar 3)

As at 30 April 2019

£'000

Exposure TypeExposure

Risk-weighted

Exposure

Capital

Requirement

Traditional securitisation

Residential mortgages 6,008 1,202 96

Credit card receivables - - -

Consumer loans - - -

Other assets 22,873 4,575 366

28,881 5,776 462


£'000

Exposure TypeExposure

Risk-weighted

Exposure

Capital

Requirement

Traditional securitisation

Residential mortgages - - -

Credit card receivables - - -

Consumer loans - - -

Other assets 23,110 4,622 370

23,110 4,622 370

- 17 -

Table 14: Securitisation exposures by seniority (Table 36 in 2018 Pillar 3)

As at 30 April 2019

£'000

TrancheExposure

Risk-weighted

Exposure

Capital

Requirement

Senior 22,873 4,575 366

Mezzanine 6,008 1,202 96

First loss - - -

28,881 5,776 462


£'000

TrancheExposure

Risk-weighted

Exposure

Capital

Requirement

Senior 21,338 4,268 341

Mezzanine 1,773 355 28

First loss - - -

23,110 4,622 370

7.0 Operational Risk

No update required.

8.0 Non-trading Book Equity Exposures

Table 15: Non-trading book equity exposures (Table 38 in 2018 Pillar 3)

30 April 2019 31 October 2018

£'000 Unlisted Unlisted

Cost 925 925

Accumulated unrealised gains 45,313 44,532

46,238 45,457

Realised gains/(losses) - -

Unrealised gains/(losses) 2,052 781

Total 48,290 46,238

Accumulated unrealised gains 47,365 45,313

Less: Deferred tax (11,377) (10,884)

AFS reserve 35,988 34,429

9.0 Interest Rate Risk in the Banking Book

No update required.

10.0 Liquidity Risk

No update required.

11.0 Remuneration

No update required.

- 18 -

12.0 Appendices

12.1 Appendix 1: Board Membership

Update to Executive Directors- CFO.

Director Role Biography

Peter Dixon

(Residency:

UK)

Chief Financial

Officer, Europe

Peter is the CFO, Europe and is based in London. Peter joined RBC from

Nomura where he was Controller and Head of Regulatory Reporting for the

EMEA region. Prior to joining Nomura in November 2017 Peter had spent 14

years at the Toronto Dominion Bank Group (TD), most recently in London as

Chief Financial Officer for the UK and European businesses of TD Securities

and Wealth including the online brokerage TD Direct Investing. As well as

spending eight years with TD Securities in London during his career at TD

Peter was CFO for TD Securities in the US & Caribbean based in New York

and also spent 3 years as CFO for TD’s business in Dublin, Ireland.

Peter is a qualified Chartered Accountant who trained at PWC and has

extensive experience in Financial Services having also held roles at Merrill

Lynch and Abn Amro before joining TD Bank.

pillar iii report - rbc · - 4 - table 2 transitional own funds disclosure (table 4 in 2018 pillar...

Documents